Yes but you're going to want to bundle up. Get off at Roosevelt and follow the signs thru the pedestrian walkway or use Google Maps. It's accurate.
And bundle up means cover your neck and face, it is a fantastic view of the lake and the Chicago skyline, well worth it
It is a long walk in this cold weather. Not sure what bus will get you close.
30-40 minute walk, $15 cab ride
I use to take Amtrak to I think Roosevelt station, it's a long time but You can definitely get there from the station. Uber or taxi to and from the station would be easier in the winter
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